We examine the strategic behavior of High Frequency Traders (HFTs) during the pre-opening phase and the opening auction of the NYSE-Euronext Paris exchange. HFTs actively participate, and profitably extract information from the order flow. They also post “flash crash” orders, to gain time priority. They make profits on their last-second orders; however, so do others, suggesting that there is no speed advantage. HFTs lead price discovery, and neither harm nor improve liquidity. They “come early to the party”, and enjoy it (make profits); however, they also help others enjoy the party(improve market quality) and do not have privileges (their speed advantage is not crucial).
|Titolo:||Coming Early to the Party|
BELLIA, Mario [Membro del Collaboration Group] (Corresponding)
PELIZZON, Loriana [Membro del Collaboration Group] (Corresponding)
|Data di pubblicazione:||2017|
|Appare nelle tipologie:||7.01 Working paper|
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|Coming Early to the Party.pdf||N/A||Accesso chiuso-personale||Riservato|